关键词: 全贷款组合, 改进熵, Laplace分布, 条件风险价值

Abstract:

The optimal allocation of loan portfolio is the core problem of commercial bank asset management. To solve this problem, a whole loan portfolio optimization model based on CVaR and improved entropy is constructed from the perspectives of the overall risk and the risk dispersion of all loan portfolios. This paper is innovative because it has measured the degree of diversification of all loan portfolios by introducing adjustment coefficient into the proportionality entropies to improve the entropy, which improves the drawbacks of the excessive diversification caused by the proportion of entropy constraint that must give every enterprise loan weight and makes the diversification measurement of the entire loan portfolio more reasonable. Besides, it has established a multi-objective programming model by controlling the total portfolio risk after the combination of stock portfolio and incremental portfolio to get the optimal allocation of incremental assets. It has changed the popularity of research by only controlling the lack of incremental risk, which changes the lack of only controlling the incremental risk in the popular research. Furthermore, the risk control of all loan portfolio is based on the loan return rates, following the Laplace distribution assumption, which is in line with the “rush fat tails” feature of the return on financial assets, making it possible for the risk can accurately assessed. It therefore, improves the research based on the normal distribution assumption which cannot accurately fit the actual distribution of the loan rate of return, and thus cannot reasonably estimate the disadvantages of the risk.

Key words: loan portfolio, inproved entropy, Laplace distribution, CVaR